Download needed packages for building OpenSSL:

apt-get build-dep libssl0.9.8
apt-get source libssl0.9.8
cd openssl-0.9.8c

Then you have to alter the debian/rules file so as to disable the zlib during compilation.

 CONFARGS  = --prefix=/usr --openssldir=/usr/lib/ssl no-idea no-mdc2 no-rc5 no-zlib

Next you can start the build process:

dpkg-buildpackage -rfakeroot -b
cd ..
dpkg -i libssl0.9.8_0.9.8g-8_amd64.deb openssl_0.9.8g-8_amd64.deb

The custom version is installed. You now have to prevent future updates from overwriting your custom versions:

root@sso-fe01:~# dpkg --set-selections
openssl hold
libssl0.9.8 hold
^D

Of course, this means that when new openssl versions are released they won't be automatically installed. You have to repeat this process each time, specially since they tend to be security updates.